Robustifying Empirical Bayes
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2026
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| _version_ | 1866911544958255104 |
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| author | Koenker, Roger Gu, Jiaying |
| author_facet | Koenker, Roger Gu, Jiaying |
| contents | Two strategies are explored for robustifying classical denoising procedures for the
Gaussian sequence model. First, the Hodges and Lehmann (1952)
restricted Bayes approach is used to reduce sensitivity to the specification
of the initial prior distribution. Second, alternatives to the Gaussian
noise assumption are explored. In both cases proposals of Huber (1964)
and Mallows (1978) play a crucial role. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_00704 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Robustifying Empirical Bayes Koenker, Roger Gu, Jiaying Methodology Econometrics Two strategies are explored for robustifying classical denoising procedures for the Gaussian sequence model. First, the Hodges and Lehmann (1952) restricted Bayes approach is used to reduce sensitivity to the specification of the initial prior distribution. Second, alternatives to the Gaussian noise assumption are explored. In both cases proposals of Huber (1964) and Mallows (1978) play a crucial role. |
| title | Robustifying Empirical Bayes |
| topic | Methodology Econometrics |
| url | https://arxiv.org/abs/2603.00704 |